Summary
Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.
This second volume, Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, focuses on econometric applications related, some closely and some very loosely, to Professor Park’s more recent work before concluding with a retrospective summarizing four decades of Advances in Econometrics.
Table of contents
Introduction
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Part I: Macroeconometrics
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Chapter 1. Aggregate output measurement: A common trend approach; Martín Almuzara, Gabriele Fiorentini, and Enrique Sentana
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Chapter 2. Markov switching rationality; Florens Odendahl, Barbara Rossi, and Tatevik Sekhposyan
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Chapter 3. The econometrics of oil market VAR models; Lutz Kilian and Xiaoqing Zhou
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Part II: Financial Econometrics
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Chapter 4. Quantile impulse response analysis with applications in macroeconomics and finance; Whayoung Jung and Ji Hyung Lee
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Chapter 5. Risk neutral density estimation with a functional linear model; Marine Carrasco and Idriss Tsafack
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Chapter 6. Estimating diffusion models of interest rates at the Zero Lower Bound: From the Great Depression to the Great Recession and beyond; Lealand Morin
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Chapter 7. A market crash or tail risk? Heavy tails and asymmetry of returns in the Chinese stock market; Zheyu Xing and Rustam Ibragimov
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Part III: Pandemic, Climate, and Disaster
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Chapter 8. Predicting crashes in oil price during the COVID-19 pandemic with mixed causal-noncausal models; Alain Hecq and Elisa Voisin
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Chapter 9. Depth-weighted forecast combination: Application to COVID-19 cases; Yoonseok Lee and Donggyu Sul
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Chapter 10. Identification of beliefs in the presence of disaster risk and misspecification; Saraswata Chaudhuri, Eric Renault, and Oscar Wahlstrom
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Chapter 11. A new model for agricultural land use modelling and prediction in England using spatially high-resolution data; Namhyun Kim, Patrick Wongsa-art, and Ian J. Bateman
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Chapter 12. Local climate sensitivity: What can time series of distributions reveal about spatial heterogeneity of climate change?; J. Isaac Miller
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Part IV: Microeconometrics and Panel Data
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Chapter 13. Maximum likelihood estimation of dynamic panel data models with interactive effects: Quasi-differencing over time or across individuals?; Chang Hsiao and Qiankun Zhou
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Chapter 14. Informational content of factor structures in simultaneous binary response models; Shakeeb Khan, Arnaud Maurel, and Yichong Zhang
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Part V: Retrospective
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Chapter 15. Forty years of Advances in Econometrics; Asli Ogunc and Randall C. Campbell
About the authors
Yoosoon Chang is Professor of Economics at Indiana University, USA, with a Ph.D. in Economics from Yale. Dr Chang's current research interests include the application of various time series, panel data and machine learning models.
Sokbae Lee is Professor of Economics at Columbia University, USA. Professor Lee’s research focuses on theoretical and applied econometrics.
J. Isaac Miller is Professor and Associate Chair of the Economics Department at University of Missouri USA. Professor Miller’s research focuses on econometrics, energy, climate, and time series.
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